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  • Search: isPartOf:"Tinbergen Institute Discussion Paper 15-140/III"
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Aggregation 1 Forecasting model 1 Portfolio selection 1 Portfolio-Management 1 Prognoseverfahren 1 Risikomaß 1 Risk measure 1 Theorie 1 Theory 1
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Free 1
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English 1
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Dijk, Dick van 1 Kole, Erik 1 Markwat, Thijs D. 1 Opschoor, Anne 1
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Tinbergen Institute Discussion Paper 15-140/III 1
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ECONIS (ZBW) 1
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Forecasting Value-at-Risk Under Temporal and Portfolio Aggregation
Kole, Erik - 2017
We examine the impact of temporal and portfolio aggregation on the quality of Value-at-Risk (VaR) forecasts over a horizon of ten trading days for a well-diversified portfolio of stocks, bonds and alternative investments. The VaR forecasts are constructed based on daily, weekly or biweekly...
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